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On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model

Author

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  • Irina Bashkirtseva

    (Ural Federal University)

  • Davide Radi

    (LIUC - Università Cattaneo)

  • Lev Ryashko

    (Ural Federal University)

  • Tatyana Ryazanova

    (Ural Federal University)

Abstract

In the paper, we consider a Kaldor-type model of the business cycle with external additive and internal parametric disturbances. We study analytically and numerically the probability properties of stochastically forced equilibria and limit cycles via stochastic sensitivity function technique. In particular, we discuss the effects of additive and parametric noises on the economic variables and we detect some stochastic bifurcations such as a P-bifurcation, i.e a phenomenon of noise-induced transition from monostability to bistability. This stochastic bistability causes a new trigger regime in economic dynamics.

Suggested Citation

  • Irina Bashkirtseva & Davide Radi & Lev Ryashko & Tatyana Ryazanova, 2018. "On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 699-718, March.
    • Handle: RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9634-8
    DOI: 10.1007/s10614-016-9634-8
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    References listed on IDEAS

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    1. Dobrescu, Loretti I. & Opris, Dumitru, 2009. "Neimark–Sacker bifurcation for the discrete-delay Kaldor model," Chaos, Solitons & Fractals, Elsevier, vol. 40(5), pages 2462-2468.
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    Cited by:

    1. Jungeilges, Jochen & Ryazanova, Tatyana, 2019. "Transitions in consumption behaviors in a peer-driven stochastic consumer network," Chaos, Solitons & Fractals, Elsevier, vol. 128(C), pages 144-154.

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